Derivatives Foundation case studies, worked step by step

Cases
100
Traced to a firm
12
Topics
12
Hard
29
Topic
All topicsMargin, clearing and risk limits8Market making and trading scenarios8Option pricing and arbitrage checks8Option strategies and trade ideas10Hedging with futures8Forwards, futures and arbitrage8Volatility trading8Interest rate derivatives9Structured products and client solutions7Currency derivatives and corporate FX hedging9Credit derivatives and counterparty risk7Greeks and managing an options book10
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–5 of 5 · filtered from 100Clear filters
  1. 004Pitch a stock on a margin recovery thesis and express it with a call spread sized so the worst case is 0.5% of a Rs 100 crore book. Show the payoff at three prices.Option strategies and trade ideasHardMorgan StanleyTokyo · 2025BarclaysNew York · 2026ScotiabankToronto · 2025
  2. 021In a ten-minute group exercise, pitch a trade on two steel makers: one has options at 28% implied against 35% realised, the other 40% implied against 30% realised. Vega is Rs 12,000 and Rs 9,000 a lot. Build a vega-neutral trade and say what would make it lose.Option strategies and trade ideasHardMorgan StanleyTokyo · 2025
  3. 051A covered call overlay that added 2.1% a year in a ten-year backtest lost about 1.5% in its first live year. The backtest filled at mid, the live market was 2 vol points wide, volatility halved and one month rallied 8%. Where did the gap come from?Volatility tradingHardJump TradingChicago · 2018
  4. 070A stock joins the Satpura 50 and index funds must buy about Rs 900 crore at the close on the effective date, against average daily trading of Rs 150 crore. A facilitation desk can pre-position or offer the funds a guaranteed close. Size the liquidity problem and the desk's risk, and say what happens if the stock falls 4% after inclusion.Market making and trading scenariosHardMizuhoHong Kong · 2024MizuhoHong Kong · 2024MizuhoHong Kong · 2024
  5. 080A stock halts at 300 on a takeover rumour with a bid of 360 in the air. You are short 500 lots of one-month 320 calls. How do you quote at the reopen, and what do you stand to lose or make?Market making and trading scenariosHardOld Mission CapitalChicago · 2020

Company names and figures are illustrative.